A test of the mixture of distributions models
AbstractIn this paper a direct test of the mixture of distributions model is conducted using daily stock return and trading volume of the Spanish continuous stock market for the period April 1990 to January 1996. Both the standard mixture of distributions model of Tauchen and Pitts (1983) and the modified version proposed by Andersen (1996) are estimated by the Generalized Method of Moments and tested using the overidentified restrictions. The results of the tests show the rejection of the restrictions that the standard and modified models impose on the data, that is, the dynamics of the Spanish returns and volume are not directed by a common factor, namely the flow of information, according to the specifications of the mixture models considered.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Universidad Carlos III de Madrid in its series Open Access publications from Universidad Carlos III de Madrid with number info:hdl:10016/9918.
Date of creation:
Date of revision:
Contact details of provider:
Web page: http://www.uc3m.es
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pedro L. Sánchez-Torres & Enrique Sentana, 1998. "Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 22(1), pages 5-17, January.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Contact person).
If references are entirely missing, you can add them using this form.